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Persistent link: https://www.econbiz.de/10010241355
A canonical two country-two good model with standard preferences does not address three classic international macroeconomic puzzles as well as two well-known asset pricing puzzles. Specifically, under financial autarky, it does not account for the high real exchange rate (RER) volatility...
Persistent link: https://www.econbiz.de/10010248182
A canonical two country-two good model with standard preferences does not address three classic international macroeconomic puzzles as well as two well-known asset pricing puzzles. Specifically, under financial autarky, it does not account for the high real exchange rate (RER) volatility...
Persistent link: https://www.econbiz.de/10010250047
This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In addition, we evaluate the performance of each measure by relying on an...
Persistent link: https://www.econbiz.de/10011572769
Persistent link: https://www.econbiz.de/10011814299
Choice under Uncertainty -- Modern Portfolio Theory -- The Capital Asset Pricing Model -- Empirical Analysis of the CAPM -- The Consumption CAPM -- Arbitrage Pricing Theory and Multi-factor Models -- Empirical Cross-Sectional Asset Pricing -- The Black-Litterman Model -- Event-Study Analysis.
Persistent link: https://www.econbiz.de/10015397272
We examine how investor demand for leverage shapes asset management fees. In our model, investors' leverage demand generates a cross-section of positive fees even if all managers produce zero risk-adjusted returns. We find support for the model's novel predictions in the sample of the U.S....
Persistent link: https://www.econbiz.de/10012847298
Persistent link: https://www.econbiz.de/10013473711
This paper studies the impact of changes in the dynamic of correlation coefficients between asset returns on portfolio choices. Using weekly data from February 2002 to October 2011 on four different European asset classes, we obtain three main results. Firstly, we show that the 2007-2009 global...
Persistent link: https://www.econbiz.de/10013088477
Persistent link: https://www.econbiz.de/10009690258